带随机波动率的Lévy模型下美式看涨期权的定价

Pricing of American Call Option Under Lévy Model With Stochastic Volatility

期权定价是现代金融理论的重要内容之一.期权的价格通常与标的资产价格的波动率等因素有关.B-S模型中假设波动率为常数,而实际上波动率往往是一个随机过程.本文研究带随机波动率的Lévy模型下美式看涨期权的定价问题,得到了美式看涨期权的最优执行时间以及期权价格满足的偏微分方程.

Option pricing is one of the important contents in the modem theory of finance. Option price is related to the volatility of underlying assets. In the B-S model, volatility is assumed as a constant, but in reality, it is often seemed as a random process. In this paper, the pricing of American call option under Lévy model with stochastic volatility was discussed. The optimal exercising time of American call option and the partial differential equation of the value function of the option were obtained.